MAfTpSolve
Routine

int MAfTpSolve (const float R[], const float g[], float c[], int N)
Purpose

Solve a Toeplitz set of equations
Description
This routine solves the set of matrix equations
R c = g
where R is an N by N symmetric Toeplitz matrix and c and g are N element
column vectors. The Toeplitz matrix R has elements which are equal along the
diagonals, i.e. R(i,j)=r(abs(ij)).
This routine uses Levinson's method to calculate the solution. In the
case that either numerical instability or an inappropriate set of matrix
coefficients results in a matrix which is not positive definite or singular,
an error code is returned.
This routine uses
2N1 divides, and
2N^23N multiplies and adds.

Reference:

E. A. Robinson, "Multichannel time series analysis with digital computer
programs", HoldenDay, 1967, p. 44.
Parameters

< int MAfTpSolve

Error flag, zero for no error. The return value is set to 1 if the
matrix not positive definite.

> const float R[]

Vector specifying the first column of the Toeplitz matrix

> const float g[]

Righthand side vector

< float c[]

Solution vector

> int N

Number of equations
Author / revision
P. Kabal
/ Revision 1.6 2003/05/09
See Also
MAfChSolve
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